Portfolio Performance Report - 120d Window
5 Jan, 1994 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (120d)	BL (120d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	99.0%	99.0%

Cumulative Return	4,779.81%	934.16%	1,778.12%	1,530.80%	5,171.55%
CAGR﹪	13.78%	8.07%	10.23%	9.72%	14.08%

Sharpe	0.76	0.52	0.61	0.56	0.89
Prob. Sharpe Ratio	100.0%	99.78%	99.96%	99.89%	100.0%
Smart Sharpe	0.71	0.49	0.57	0.52	0.83
Sortino	1.09	0.74	0.86	0.8	1.3
Smart Sortino	1.02	0.69	0.81	0.75	1.22
Sortino/√2	0.77	0.52	0.61	0.56	0.92
Smart Sortino/√2	0.72	0.49	0.57	0.53	0.87
Omega	1.15	1.1	1.12	1.11	1.18

Max Drawdown	-58.9%	-53.78%	-55.19%	-51.95%	-40.02%
Max DD Date	2009-03-05	2009-03-09	2009-03-09	2009-03-05	2009-03-09
Max DD Period Start	2007-10-10	2007-10-10	2007-10-10	2007-07-18	2007-12-27
Max DD Period End	2010-12-09	2013-03-04	2012-08-15	2013-10-24	2010-12-22
Longest DD Days	1157	2450	2404	2291	1092
Volatility (ann.)	19.59%	17.96%	18.96%	20.27%	16.36%
Calmar	0.23	0.15	0.19	0.19	0.35
Skew	-0.06	-0.17	-0.06	-0.18	0.28
Kurtosis	11.07	12.17	11.11	15.16	10.32

Expected Daily	0.05%	0.03%	0.04%	0.04%	0.05%
Expected Monthly	1.08%	0.65%	0.81%	0.77%	1.1%
Expected Yearly	13.36%	7.83%	9.92%	9.42%	13.64%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-1.97%	-1.82%	-1.92%	-2.06%	-1.64%
Expected Shortfall (cVaR)	-3.58%	-3.58%	-3.58%	-3.58%	-3.58%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.15	1.1	1.12	1.11	1.18
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.98	0.97	0.94	0.94	1.0
Outlier Win Ratio	3.92	4.29	4.11	3.79	4.61
Outlier Loss Ratio	3.77	4.08	3.78	3.59	4.38

MTD	2.37%	2.57%	5.17%	1.49%	2.33%
3M	10.2%	10.94%	12.06%	11.83%	11.59%
6M	13.08%	14.12%	16.79%	14.17%	14.19%
YTD	2.06%	3.83%	6.85%	6.29%	7.37%
1Y	12.27%	18.42%	29.36%	7.72%	12.96%
3Y (ann.)	6.92%	6.31%	10.76%	11.71%	7.02%
5Y (ann.)	10.97%	9.1%	14.72%	16.09%	11.67%
10Y (ann.)	11.25%	9.29%	12.72%	15.78%	12.62%
All-time (ann.)	13.78%	8.07%	10.23%	9.72%	14.08%

Best Day	11.97%	11.37%	14.52%	16.39%	11.1%
Worst Day	-11.42%	-12.93%	-10.94%	-14.65%	-8.39%
Best Month	19.0%	13.95%	12.7%	24.36%	14.63%
Worst Month	-15.87%	-15.13%	-16.52%	-17.51%	-14.83%
Best Year	45.92%	33.45%	38.05%	38.72%	55.35%
Worst Year	-37.32%	-33.84%	-36.8%	-30.74%	-20.33%

Avg. Drawdown	-2.05%	-2.18%	-1.91%	-3.1%	-2.02%
Avg. Drawdown Days	23	37	27	40	23
Recovery Factor	-	-	-	-	-
Ulcer Index	0.1	0.13	0.15	0.16	0.08
Serenity Index	1.45	0.64	0.72	0.73	1.42

Avg. Up Month	4.56%	3.85%	4.0%	4.14%	3.95%
Avg. Down Month	-5.05%	-5.01%	-4.95%	-4.76%	-3.79%
Win Days	54.34%	53.4%	54.41%	53.01%	54.36%
Win Month	65.75%	62.71%	65.19%	62.36%	64.61%
Win Quarter	74.38%	66.94%	72.73%	70.59%	72.27%
Win Year	83.87%	74.19%	80.65%	80.65%	83.87%

EOY Returns

Year	EQW	^DJI	SPY	MV (120d)	BL (120d)
1994	10.95	1.92	0.81	10.20	8.64
1995	37.88	29.25	32.63	32.43	44.76
1996	27.60	23.85	21.15	9.12	29.65
1997	29.08	22.18	30.91	20.58	35.40
1998	28.98	16.90	27.71	19.90	24.96
1999	30.45	23.80	20.19	-6.50	-1.21
2000	12.30	-4.22	-7.41	15.63	35.06
2001	1.56	-5.12	-10.11	-1.26	-7.89
2002	-15.61	-15.11	-20.83	-14.78	-5.96
2003	33.43	23.95	26.20	31.34	25.64
2004	13.69	3.69	10.78	1.21	9.11
2005	8.10	-0.08	5.25	2.87	6.00
2006	18.09	15.58	15.21	18.58	26.86
2007	9.68	7.29	6.28	5.39	12.40
2008	-37.33	-34.13	-37.36	-27.81	-17.35
2009	43.07	20.17	26.93	2.94	15.30
2010	17.77	11.76	15.63	-0.98	12.64
2011	4.89	7.59	4.53	14.64	12.39
2012	17.95	7.69	15.64	11.85	15.46
2013	31.20	24.03	28.62	33.72	27.82
2014	16.48	7.84	13.27	13.12	12.45
2015	3.30	-1.07	2.41	17.33	5.32
2016	16.56	13.38	12.18	3.32	11.93
2017	19.78	22.61	19.88	29.66	24.23
2018	-5.89	-4.20	-3.23	7.75	6.24
2019	21.13	20.94	27.97	18.39	19.78
2020	14.81	13.82	22.47	30.17	23.31
2021	25.79	17.94	26.11	20.09	12.06
2022	-3.61	-7.24	-17.13	14.63	0.40
2023	12.44	13.49	24.11	1.45	4.20
2024	2.14	3.81	6.73	6.25	7.20

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-10-10	2010-12-09	-58.90	1157
2020-01-21	2020-11-13	-38.98	298
2001-05-22	2003-11-28	-33.63	921
2022-01-13	2023-12-13	-23.07	700
2011-05-11	2012-02-02	-20.87	268
1998-07-20	1998-11-20	-20.54	124
2018-01-29	2019-07-11	-18.70	529
2000-01-18	2000-03-31	-15.03	74
2001-02-02	2001-05-15	-14.65	103
2015-05-22	2016-03-31	-12.99	315

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
1998-07-20	1998-11-20	-19.26	124
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
1997-08-07	1998-02-09	-13.30	187
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
1998-07-21	1998-11-20	-19.03	123
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
1997-10-08	1997-12-04	-11.20	58
2018-01-29	2018-08-03	-10.10	187

MV (120d)

Started	Recovered	Drawdown	Days
2007-07-18	2013-10-24	-51.95	2291
2002-03-20	2003-12-26	-33.08	647
1998-11-30	2000-11-28	-31.27	730
2020-02-13	2020-06-22	-30.23	131
1998-07-20	1998-11-20	-21.05	124
2001-05-17	2002-03-07	-19.84	295
2020-09-02	2021-06-02	-19.56	274
2000-11-30	2001-05-09	-18.89	161
2015-07-17	2015-09-24	-15.32	70
1997-08-08	1998-03-19	-14.46	224

BL (120d)

Started	Recovered	Drawdown	Days
2007-12-27	2010-12-22	-40.02	1092
2002-05-24	2003-12-26	-29.64	582
1999-07-19	2000-10-03	-28.94	443
2020-02-11	2020-07-09	-20.31	150
2022-04-21	2024-01-22	-19.89	642
2001-01-03	2002-02-28	-15.01	422
2011-05-13	2011-12-21	-13.41	223
2018-12-04	2019-04-12	-13.14	130
2015-03-03	2015-10-27	-11.96	239
2018-01-29	2018-08-02	-11.83	186